Papers › Stationary Bootstrap: A Refined Error Estimation for Equilibrium Time Series
Stationary Bootstrap: A Refined Error Estimation for Equilibrium Time Series
Yoshihiko Nishikawa, Jun Takahashi, Takashi Takahashi
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In Markov-chain Monte Carlo simulations, estimating statistical errors or confidence intervals of numerically obtained values is an essential task. In this paper, we review several methods for error estimation, such as simple empirical estimation with multiple independent runs, the blocking method, and the stationary bootstrap method. We then study their performance when applied to an actual Monte-Carlo time series. We find that the stationary bootstrap method gives a reasonable and stable estimation for any quantity using only one single time series. In contrast, the simple estimation with few independent runs can be demonstratively erroneous. We further discuss the potential use of the stationary bootstrap method in numerical simulations.
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